It’s weird… <a href="file://myfile">link</a> works, but [link](file://myfile) does not. But both options work for other custom schemes as @jomaxro said 
Maybe something in the commonmark link internals is stripping out file:// specifically. A quick search doesn’t reveal anything obvious in the discourse codebase.
@user2 the workaround for now is to use the HTML syntax for your link
<a href="file://myfile">link</a>
Edit: even with that, we still have an issue with file:// protocols. It is very common for file paths to start with a / (signifying the root of the filesystem), so the link looks like file:///myfile. Our sanitizer doesn’t like the three slashes at the beginning, and treats the link as invalid.